The role is to independently review, test and approve pricing models for credit and securitization products and other related models, all according to internal standards consistent with the SR11-07 regulatory guidance. The team is part of the Model Risk Management division of the Risk department of Deutsche Bank. DB has a strong commitment to promote gender equality at all levels of leadership. Your key responsibilitiesReceive formal requests from Front Office and Model Developers to approve pricing models for credit and securitization products, and related reserve and valuation adjustment models.Mathematically review models and their suitability for products, conduct independent testing, challenge FO and model developers where necessary before conferring approval, and document testing results and outcomes of conceptual and mathematical review in a Model Validation Report reviewed by regulators.Manage model risk on an ongoing basis by assessing the model developer documentation, model assumptions and model limitations, model changes, imposing conditions for use, raising validation findings etc.Pro-actively engage stakeholders to successfully bring validation projects to completion to agreed deadlines and in line with requirements. 

MSc/PhD in a highly mathematical subjectSolid foundations in analysis, probability, statistics, PDEs

You have an advantage if you know stochastic calculus and its applications to risk neutral pricing modelsExperience in software development is a plus